Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0910
Annualized Std Dev 0.3417
Annualized Sharpe (Rf=0%) 0.2662

Row

Daily Return Statistics

Close
Observations 3545.0000
NAs 1.0000
Minimum -0.1434
Quartile 1 -0.0096
Median 0.0013
Arithmetic Mean 0.0006
Geometric Mean 0.0003
Quartile 3 0.0115
Maximum 0.1606
SE Mean 0.0004
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0013
Variance 0.0005
Stdev 0.0215
Skewness -0.2503
Kurtosis 5.8302

Downside Risk

Close
Semi Deviation 0.0157
Gain Deviation 0.0146
Loss Deviation 0.0165
Downside Deviation (MAR=210%) 0.0199
Downside Deviation (Rf=0%) 0.0154
Downside Deviation (0%) 0.0154
Maximum Drawdown 0.7618
Historical VaR (95%) -0.0334
Historical ES (95%) -0.0516
Modified VaR (95%) -0.0338
Modified ES (95%) -0.0596
From Trough To Depth Length To Trough Recovery
2008-01-02 2008-11-20 2020-07-08 -0.7618 3148 226 2922
2021-02-10 2021-03-08 NA -0.2962 28 18 NA
2007-07-16 2007-08-16 2007-10-02 -0.1452 56 24 32
2020-09-02 2020-09-08 2020-09-30 -0.1310 20 4 16
2007-11-09 2007-11-21 2007-12-07 -0.1233 20 9 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.6 -0.6 -2.1 1 -0.6 -0.2 2.3 2.7 -2.8 -0.5 5.8 4.4
2008 3.7 -3.1 2.8 0.3 3.1 -2.2 -1 -0.4 0.5 1.1 -9.6 4.1 -1.5
2009 -0.1 -2.9 2.7 0.3 4.9 1.2 -1.3 -3 -5.4 -3.3 3.4 -0.3 -4.3
2010 3.3 2 -0.3 -3.4 -2.6 -0.1 -1 4 -1 -1.7 2.8 -0.5 1.2
2011 2.7 -1.9 -1.2 1.5 -3.2 0.7 -0.2 -2.8 -2.6 -5.1 1.3 -0.1 -10.8
2012 2.2 -0.7 0.4 2.2 -3.9 4.5 -2 0 -0.5 2.5 0.1 0.4 5
2013 1.8 -1.3 -1.1 -2 -2 1.9 -0.2 -0.9 2.8 1.8 0.1 -0.1 0.6
2014 -0.3 -1 2.7 0 -1.3 0.6 -0.8 0.8 -2.5 3.1 -3.2 0.1 -2
2015 -1.4 -0.3 0.2 0.6 0.1 -1 -1.8 -3 -1.1 -0.8 2.4 -0.5 -6.5
2016 0.2 -0.3 0.4 -2.2 -0.4 0.7 -0.1 -0.2 1.2 -1.3 -2.6 -1 -5.5
2017 0.4 0.5 0.1 0.4 1.2 -0.1 0.3 0.5 0.4 -0.8 -1.2 -0.8 0.8
2018 -0.7 -1.3 2 -0.3 0 0.3 -0.3 1.1 0.8 3.8 0.6 1 7.2
2019 1 -1.1 2 -0.3 -2 1.8 -1.2 0.3 -1.7 1 -1 0.2 -1.3
2020 -1.9 -0.1 -6.8 -5 2.9 0 -0.7 1.4 2.8 -2.4 -2.5 0.4 -11.7
2021 3.3 5.2 2 NA NA NA NA NA NA NA NA NA 10.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-02-14  19.9 SPY    146.  0.0066   0.0028   0.0185   0.0533    0.152    0.259    0.311 GLD    66.4  8.00e-3   0.0269
2 2007-02-15  19.9 SPY    146.  0.0013   0.0054   0.0194   0.0521    0.141    0.266    0.299 GLD    66.4  6.00e-4   0.0136
3 2007-02-16  20.0 SPY    146. -0.0005   0.0124   0.0224   0.0438    0.137    0.254    0.300 GLD    66.4 -8.00e-4   0.0036
4 2007-02-20  20.3 SPY    146.  0.0021   0.0181   0.0225   0.043     0.131    0.263    0.317 GLD    65.3 -1.58e-2  -0.0055
5 2007-02-21  20.4 SPY    146. -0.0004   0.0091   0.0253   0.0399    0.133    0.267    0.342 GLD    67.3  3.02e-2   0.0219
6 2007-02-22  20.9 SPY    146. -0.0008   0.0018   0.0215   0.0388    0.135    0.270    0.319 GLD    67.2 -1.90e-3   0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart